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    Title: 大額委託對市場流動性的影響
    Other Titles: How do large orders affect market liquidity
    Authors: 陳美文;Chen, Mei-Wen
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Keywords: 大額委託;流動性;Large orders;Liquidity
    Date: 2012
    Issue Date: 2013-04-13 10:50:22 (UTC+8)
    Abstract: 本研究利用日內高頻資料,使用Kang and Yeo (2008)所提出限價委託單衡量寬度、深度的兩種流動性變數,探討台灣集中市場大額委託單對流動性造成影響。之後將再依交易人身分,分為散戶、外資、自營商、其他國內法人,可更細部觀察不同投資人在流動性扮演的角色,及其大額委託對流動性影響有何差異。
    實證結果發現,大額委託會使市場寬度增加及深度減少,導致市場流動性降低。在做投資人分群後,在寬度的衡量上,散戶及自營商下單後皆使委託簿離散程度變大;在深度的衡量,各類投資人下單皆會使市場深度減少,降低流動性。若近一步將大額委託單區分大、次大單後,不論在寬度或深度,各類投資人在次大單對流動性造成影響皆較大單強,顯示大額委託單若為資訊交易者,有拆單交易的現象。
    I use high frequency intraday data of Taiwan stock market to analyze the influence of large orders on width and depth of liquidity proposed by Kang and Yeo (2008). I divide investors into foreign investors, proprietary dealers, individual investors and other institutional investors to see how investor type affects my results.
    I find large orders tend to cause a significant increase on market width while a decrease on market depth, which indicates poorer liquidity. In terms of width, both individual investors and proprietary dealers cause a significant increase in the dispersion of limit order book after they submit orders. In terms of depth, investors always cause a significant decrease in depth regardless of their types. If I divide large orders further into two groups. The one with the smaller orders are found to cause wider width and lower depth for all investors. This suggests that order splitting makes a difference.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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